You can get them as random loot. Not sure if any vendors have them, but off the top of my head I know I found one on the shrine at Wayward Pass, in the mountain range south of Dawnstar and Winterhold, about halfway between the two. It's an outdoor location, nothing really to explore, just a few random pieces of loot laying at a shrine. Easy to get to.

if i don't mistake the name, i got the amulet of Arkay in the catacombs of "Blancherive" in french (maybe Whiteshore in english ?, the city you are told to go at the beginning of the game to get in touch with the Companions)

But it is a short quest as the priest you meet at the entry aks you to get the amulet then he takes it from your inventory.